NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

31/12/2020

31/12/2019

Capital requirement

Capital requirement

EAD

RWA

(in millions of euros)

EAD

RWA

Operational risk (standardized approach)

12,988

1,039 8,399

13,733 98,990

1,099 7,919

Total

104,985

Exposure and EAD by Basel exposure class (NX03)

(Data certified by the Statutory Auditors in accordance with IFRS 7)

(in millions of euros)

Exposure

EAD

31/12/2020

31/12/2020

Exposure class

o/w off-balance sheet

o/w off-balance sheet

2020 average

Business

129,866

76,850 65,802 10,543

106,623

53,784

109,582

Other than SMEs and SF

106,881

86,763 18,242

45,760

89,183 18,698

Specialized Financing (SF)

21,135

7,650

SME

1,850

504

1,618

374

1,700

Institutions

89,814 61,119

39,766 12,346

83,749 60,470

33,702 11,703

87,500 50,030

Governments and central banks

Governments and central banks

58,734

10,718

58,203

10,187

47,848

498

286

492

286

523

Regional governments or local authorities

Public sector entities

1,887

1,342

1,775

1,229

1,658

Retail

1,015

108

515

23

590 358 232

Other than SMEs

898 117

80 27

426

16

SME

89

6

Securitization

14,035

10,000

13,790

10,000

12,165

Other assets

6,330 5,757

6,330 5,757

6,317 5,566

Equity

181

181

Collective investments undertakings Exposures secured by mortgages on immovable property Exposures to institutions and corporates with a short-term credit assessment

282

5

279

3

238

173 169

84 18

166

80

195

Defaulted exposures

45

9

57

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

308,560 301,584

139,358 134,267

277,724 264,806

109,485

272,240 268,223

98,460

EAD by geographic area and by asset class (NX05)

(Data certified by the Statutory Auditors in accordance with IFRS 7)

(in millions of euros)

Total

Exposure class

France

Europe*

North America

Other

Business

33,630

32,790

17,439

22,763

106,623

Other than SMEs and SF

29,072

25,811

14,265

17,615

86,763 18,242

Specialized Financing (SF)

3,586

6,730

3,092

4,834

SME

972

249

83

314

1,618

Institutions

59,086 22,059

12,271

7,812

4,580

83,749 60,470

9,675 7,808 1,052

13,484

15,252

Governments and central banks

Governments and central banks

20,755

13,369

15,218

57,151

International Organizations

1,052

Multilateral Development Banks Regional governments or local authorities

455 849

38

492

Public sector entities

777

115

34

1,775

Securitization

5,804 5,093 4,205

681 956 600

6,856

449

13,790

Other assets

232 829

49

6,330 5,757

Share Retail

122

437

16

61

515

Other than SMEs

408

15

3

426

SME

30

2

58

89

Exposures secured by mortgages on immovable property Exposures to institutions and corporates with a short-term credit assessment

274

3

2

279

17 34

34

11

103

166

Defaulted exposures

12

45

Collective investments undertakings TOTAL AT 31/12/2020

130,639 121,530

57,028 52,056

46,664 47,004

43,393 44,215

27,724

TOTAL AT 31/12/2019

264,806

*

Europe = European Union + Europe (outside EU).

138

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020